Professor of Data Analysis and Economic Statistics
Co-director of CeNDEF
PhD in Mathematics (nonlinear time series analysis), University of Leiden
MSc in theoretical physics, University of Utrecht (1991)
Nonlinear time series analysis, dynamical systems, financial time series, non-parametric statistics, hypothesis testing, bootstrap methods, economic dynamics, information flows in financial markets, causality, model uncertainty, state space models, particle filtering.
Nonparametric test for serial independence (version May 2008) [Zip file with C-sources and Linux/Windows executables] See: Diks, C. and Panchenko, V. (2007) Nonparametric Tests for Serial Independence Based on Quadratic Forms, Statistica Sinica, 17, 81-98.
Nonparametric Granger causality test (version June 2008) [Zip file with C-sources and Linux/Windows executables + Matlab code for generating the empirical results (Table 3) of the paper below. Contains a program that calulates p-values for the Hiemstra-Jones test statistic and our statistic. For a program that just calculates p-values for our statistic, seeValentyn Panchenko's software] See: Diks, C. and Panchenko, V. (2006) A new statistic and practical guidelines for nonparametric Granger causality testing, Journal of Economic Dynamics and Control 30 (9-10), 1647-1669.
Test for (time) reversibility (version June 2008) [Zip file with C-sources and Linux/Windows executables] See: Diks, C., Houwelingen, J.C. van, Takens, F. and DeGoede, J. (1995)Reversibility as a criterion for discriminating time series, Physics Letters A 201, 221-228. The program uses the block method described in: Diks, C. (1999) Nonlinear Time Series Analysis: Methods and Applications, Vol. 4 in series "Nonlinear Time Series and Chaos", edited by H. Tong (World Scientific, Singapore). ISBN: 9810235054.
Test for comparing distributions of delay vectors (version July 2008) [Zip file with C-sources and sample data] See: Diks, C., Zwet, W.R. van, Takens, F. and DeGoede, J. (1996)Detecting differences between delay vector distributions, Physical Review E 53, 2169-2176.